diff options
Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 17 |
1 files changed, 9 insertions, 8 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index e7472a84..efda3cb6 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -1,6 +1,7 @@ -import array +from __future__ import division import datetime import math +import numpy as np import pandas as pd from pyisda.legs import ContingentLeg, FeeLeg @@ -18,7 +19,7 @@ from yieldcurve import YC, ql_to_jp, roll_yc, rate_helpers serenitasdb = dbconn('serenitasdb') -def g(index, spread : float, exercise_date : datetime.date, forward_yc = None): +def g(index, spread, exercise_date, forward_yc = None): """computes the strike clean price using the expected forward yield curve """ if forward_yc is None: forward_yc = index._yc @@ -26,13 +27,13 @@ def g(index, spread : float, exercise_date : datetime.date, forward_yc = None): exercise_date_settle = (pd.Timestamp(exercise_date) + 3* BDay()).date() sc = SpreadCurve(exercise_date, forward_yc, index.start_date, step_in_date, exercise_date_settle, - [index.end_date], array.array('d', [spread * 1e-4]), + [index.end_date], np.array([spread * 1e-4]), index.recovery) a = index._fee_leg.pv(exercise_date, step_in_date, exercise_date_settle, forward_yc, sc, True) return (spread - index.fixed_rate) * a *1e-4 -class Index(): +class Index(object): """ minimal class to represent a credit index """ def __init__(self, start_date, end_date, recovery, fixed_rate, notional = 10e6): @@ -122,7 +123,7 @@ class Index(): def _update(self): self._sc = SpreadCurve(self.trade_date, self._yc, self.start_date, self._step_in_date, self._value_date, - [self.end_date], array.array('d', [self._spread]), + [self.end_date], np.array([self._spread]), self.recovery) self._risky_annuity = self._fee_leg.pv(self.trade_date, self._step_in_date, self._value_date, self._yc, @@ -135,7 +136,7 @@ class Index(): self._price = 100 * (1 - self._clean_pv) @spread.setter - def spread(self, s: float): + def spread(self, s): """ s: spread in bps """ if self.spread is None or s != self.spread: self._spread = s * 1e-4 @@ -337,7 +338,7 @@ class Index(): return "\n".join(s) -class ForwardIndex(): +class ForwardIndex(object): def __init__(self, index, forward_date, ref_is_price = False): self.index = index self.forward_date = forward_date @@ -366,7 +367,7 @@ class ForwardIndex(): return self.index.spread @ref.setter - def ref(self, val : float): + def ref(self, val): if self._ref_is_price: if self.index.price is None or \ math.fabs(self.index.price - val) > 1e-6: |